Noncausal nonminimum phase ARMA modeling of non-Gaussian processes

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

A method is presented for the estimation of the parameters of a noncausal nonminimum phase ARMA model for non-Gaussian random processes. Using certain higher-order cepstra slices, the Fourier phases of two intermediate sequences, hmin(n) and hmax(n), can be computed, where hmin(n) is composed of the minimum phase parts of the AR and MA models, and hmax(n) of the corresponding maximum phase parts. Under the condition that the AR and MA models do not have common zeros, these two sequences can be estimated from their phases only, and lead to the reconstruction of the AR and MA parameters, within a scalar and a time shift. The AR and MA orders do not have to be estimated separately, but they are a byproduct of the parameter estimation procedure. Unlike existing methods, the estimation procedure is fairly robust if a small order mismatch occurs. Since the robustness of the method in the presence of additive noise depends on the accuracy of the estimated phases of hmin(n) and hmax(n), the phase errors occurring due to finite length data are studied.

Original languageEnglish (US)
Title of host publicationProceedings of SPIE - The International Society for Optical Engineering
EditorsFranklin T. Luk
PublisherSociety of Photo-Optical Instrumentation Engineers
Pages126-137
Number of pages12
ISBN (Print)0819416207
StatePublished - 1994
Externally publishedYes
EventAdvanced Signal Processing: Algorithms, Architectures, and Implementations V - San Diego, CA, USA
Duration: Jul 24 1994Jul 27 1994

Publication series

NameProceedings of SPIE - The International Society for Optical Engineering
Volume2296
ISSN (Print)0277-786X

Other

OtherAdvanced Signal Processing: Algorithms, Architectures, and Implementations V
CitySan Diego, CA, USA
Period7/24/947/27/94

All Science Journal Classification (ASJC) codes

  • Electronic, Optical and Magnetic Materials
  • Condensed Matter Physics
  • Computer Science Applications
  • Applied Mathematics
  • Electrical and Electronic Engineering

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